Crypto Derivatives: Analytics Report – Week 30

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Sentiment in crypto markets is showing signs of rebounding, demonstrated by both an increase in our Block Scholes Risk Appetite indices, and in options market positioning. Short-dated put-call skew has slowly recovered through the month of July for both BTC and ETH from around -10% at the start of the month to trade at neutral levels. That rebound in sentiment away from the bearish put-premium that has mostly dominated the first half of this year has occurred alongside a recovery in spot price – with BTC now trading above $66K.

At-the-money implied volatility levels also trade close to year-to-date lows, despite ongoing conflict in the Middle East. The US launched its tenth consecutive round of strikes on Iran, though short-dated BTC IV continues to trade slightly above 30%.

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

1-Month Tenor ATM Implied Volatility

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Despite the 10 consecutive night of strikes from the US on Iran, implied volatility levels have traded sideways around 30% since early-July.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – At-the-money implied volatility for short- dated ETH options has traded close to its year-to-date lows of 40% over the past week.

BTC and ETH Skew

BTC 25-Delta Risk Reversal – As BTC trades above $66K, sentiment over the near term in options markets is now at neutral levels. 7-day 25-delta put-call skew has increased from -11% at the start of the month to 0%.

ETH 25-Delta Risk Reversal – Similar to BTC, short-dated skew in ETH options is now also at neutral levels. That coincides with a recovery in ETH’s spot price above $1,900 – a level last seen in early June.

Market Composite Volatility Surface

BTC SVI – 8:00 UTC Snapshot.

ETH SVI – 8:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Data Reference

Block Scholes Risk Appetite (BTC/ETH)

Block Scholes’ Risk Appetite index uses a composite spot index price; POST /api/v1/price/index

1-month ATM implied volatility (BTC/ETH)

At-the-money IV at a constant 1-month tenor; forward- looking vol expectations; POST /api/v1/iv/moneyness

Volatility term structure & SVI ATM IV by tenor (BTC/ETH)

SVI-fitted ATM IV across constant tenors (7d / 14d / 30d / 90d / 180d); POST /api/v1/modelparams

25-delta risk reversal / skew (BTC/ETH)

Spread between 25Δ call and 25Δ put IV; a measure of upside vs downside option demand; POST /api/v1/iv/risk-reversal

Market composite volatility surface (BTC/ETH)

BlockScholes composite SVI surface across forward moneyness and tenor, aggregating market-wide options pricing into one clean fitted surface; POST /api/v1/iv/moneyness + POST /api/v1/modelparams

Cross-exchange volatility smiles (BTC/ETH)

Venue-level (Deribit, Bybit) and composite smiles at a fixed tenor, for comparing exchange pricing against the market composite; POST /api/v1/iv/moneyness

Constant-maturity volatility smiles (BTC/ETH)

Like-for-like smile at a fixed tenor across strikes, showing how the smile shifted between dates; POST /api/v1/iv/strike

Thanks to Andrew Melville and Thahbib Rahman, Block Scholes